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Free AccessUS$ Credit Supply Pipeline
US Treasury Auction Calendar
US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR DEC 19
EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)
USF USH TYF TYH FVF FVH EDF EDH
WED OPEN 12.32% 6.98% 6.79% 3.76% 5.24% 2.50% 16.74% 13.27%
TUE 3:00 11.47% 7.46% 6.18% 3.86% 4.42% 2.58% 16.48% 13.28%
TUE OPEN 10.14% 7.10% 5.40% 3.76% 4.02% 2.50% 15.76% 13.31%
MON 3:00 9.36% 7.22% 4.88% 3.73% 3.41% 2.43% 14.81% N/A
MON OPEN 9.36% 7.18% 4.65% 3.69% 3.03% 2.42% 14.52% N/A
FRI 3:00 7.46% 7.10% 3.71% 3.62% 2.46% 2.39% 14.87% N/A
FRI OPEN 7.33% 6.97% 3.53% 3.57% 2.45% 2.39% 14.73% N/A
THU 3:00 7.38% 7.04% 3.75% 3.60% 2.57% 2.42% 14.11% N/A
THU OPEN 7.69% 7.09% 3.79% 3.67% 2.72% 2.49% 15.76% N/A
LARGEST O/I: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 121.00 C 160,570 +2,484 117.50 P 99,100 +125
MAR19 10Y NOTE 127.00 C 39,766 +1,598 106.50 P 97,647 UNCH
JAN18 5Y NOTE 113.00 C 57,215 UNCH 111.25 P 93,492 UNCH
MAR19 5Y NOTE 113.50 C 19,807 -1,710 103.75 P 284,211 UNCH
JAN18 2Y NOTE 105.87 C 8,879 +1,510 105.12 P 6,100 UNCH
MAR19 2Y NOTE 105.87 C 10,006 +3 104.50 P 6,702 UNCH
JAN18 EURODLR 97.37 C 156,599 +8,358 97.12 P 115,093 +32,955
MAR18 EURODLR 97.37 C 763,515 +38,043 97.00 P1,045,823 +11,694
JAN19 1Y-MIDC 97.12 C 91,492 -10,119 96.62 P 117,653 -107
JAN20 2Y-MIDC 97.00 C 37,813 UNCH 96.75 P 54,437 UNCH
JAN21 3Y-MIDC 97.00 C 36,539 UNCH 97.00 P 48,242 +1,000
NEAREST ATM: STRIKE TOTAL CHANGE STRIKE TOTAL CHANGE
JAN18 10Y NOTE 120.00 C 101,404 UNCH 120.00 P 44,483 -3,114
JAN18 10Y NOTE 120.50 C 66,537 -17,639 120.50 P 42,453 +16,765
MAR19 10Y NOTE 120.00 C 17,957 +31 120.00 P 19,874 +2,481
MAR19 10Y NOTE 120.50 C 28,842 -327 120.50 P 14,078 +2,827
JAN18 5Y NOTE 113.50 C 36,065 -2,639 113.50 P 21,438 -154
JAN18 5Y NOTE 113.75 C 35,733 +7,078 113.75 P 22,368 +15,418
MAR19 5Y NOTE 113.50 C 19,807 -1,710 113.50 P 9,262 +3,824
MAR19 5Y NOTE 113.75 C 10,123 -30 113.75 P 4,105 +512
JAN18 2Y NOTE 105.62 C 1,858 -200 105.62 P 3,756 +5
JAN18 2Y NOTE 105.75 C 7,733 -893 105.75 P 2,020 UNCH
MAR19 2Y NOTE 105.62 C 1,189 +406 105.62 P 1,780 +1,605
MAR19 2Y NOTE 105.75 C 648 -26 105.75 P 2,068 -24
JAN18 EURODLR 97.37 C 156,599 +8,358 97.12 P 115,093 +32,955
JAN18 EURODLR 97.50 C 71,423 +5,973 97.25 P 29,605 +13,568
MAR18 EURODLR 97.50 C 298,116 -4,277 97.50 P 119,941 UNCH
MAR18 EURODLR 97.62 C 76,318 -5,582 97.62 P 49,325 UNCH
JAN19 1Y-MIDC 97.12 C 91,492 -10,119 97.00 P 96,395 +1,858
JAN19 1Y-MIDC 97.25 C 41,677 +2,104 97.12 P 65,980 +43,327
JAN20 2Y-MIDC 97.00 C 37,813 UNCH 97.00 P 41,895 UNCH
JAN20 2Y-MIDC 97.12 C 16,987 -50 97.12 P 36,431 +2,740
JAN21 3Y-MIDC 96.87 C 13,157 UNCH 96.87 P 16,596 UNCH
JAN21 3Y-MIDC 97.00 C 36,539 UNCH 97.00 P 48,242 +1,000
PUT/CALL RATIO FOR VOLUME CLEARED:
JAN18 10Y NOTE PUT/CALL RATIO -- 0.52 (123,599 PUTS VS. 237,623 CALLS)
MAR19 10Y NOTE PUT/CALL RATIO -- 1.66 (82,964 PUTS VS. 49,853 CALLS)
JAN18 5Y NOTE PUT/CALL RATIO -- 0.80 (45,080 PUTS VS. 56,344 CALLS)
MAR19 5Y NOTE PUT/CALL RATIO -- 2.06 (26,992 PUTS VS. 13,116 CALLS)
JAN18 2Y NOTE PUT/CALL RATIO -- 4.47 (84,326 PUTS VS. 18,844 CALLS)
MAR19 2Y NOTE PUT/CALL RATIO -- 3.73 (5,167 PUTS VS. 1,386 CALLS)
JAN18 EURODLRS PUT/CALL RATIO -- 0.70 (84,326 PUTS VS. 120,424 CALLS)
MAR18 EURODLRS PUT/CALL RATIO -- 1.65 (402,681 PUTS VS. 244,694 CALLS)
JAN19 1Y-MIDCRVE PUT/CALL RATIO-- 1.04 (33,800 PUTS VS. 32,552 CALLS)
JAN20 2Y-MIDCRVE PUT/CALL RATIO-- 0.97 (3,750 PUTS VS. 3,850 CALLS)
JAN21 3Y-MIDCRVE PUT/CALL RATIO-- 4.17 (2,500 PUTS VS. 600 CALLS)
(VOLUME, OPEN INTEREST, RATIOS ALL REFLECT PRIOR SESSION'S DATA)
Swaption BP/Vol Via Bloomberg:
Time (ET) 3M/2Y 1M/10Y 3M/5Y 3M/10Y 2Y/10Y 5Y/5Y
WED OPEN 60.48 58.11 62.87 60.77 69.56 76.71
TUE 3:00 59.86 58.21 61.31 59.65 69.33 76.50
TUE OPEN 57.34 56.66 60.48 58.98 69.15 76.52
MON 3:00 56.91 55.86 59.88 58.68 69.15 76.54
MON OPEN 56.37 55.91 59.93 58.77 69.23 76.49
FRI 3:00 56.64 55.66 60.08 58.82 69.23 76.50
FRI OPEN 56.69 55.82 60.26 58.99 69.38 76.67
THU 3:00 56.83 55.97 60.96 59.39 69.62 76.82
THU OPEN 57.67 57.11 61.94 60.01 69.87 77.08
--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com
[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]
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Why MNI
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of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.